面向政策事件个股影响研究的有序传播算法模型  

An Ordered Propagation Algorithm Model for Studying the Impact of Policy Events on Individual Stocks

作　　者：苑博文 陈辉华 任星亮 翁祺 刘磊 孙少卿 

机构地区：[1]中信证券股份有限公司 [2]星环信息科技(上海)股份有限公司

出　　处：《信息技术与标准化》2023年第8期59-63,75,共6页Information Technology & Standardization

基　　金：上海证券信息技术研究发展中心(上海)2022年行业共研课题——“基于多模态知识图谱事件驱动的智能投研技术研究与应用”,课题编号:ITRDC220105。

摘　　要：国内A股市场是一个发展中的弱有效市场,政策和公司股价涨跌有明显的关联关系,为进一步研究政策是如何对个股产生影响,基于构建的上市公司产业链图谱,提出运用图谱拓扑结构思想的有序传播算法模型,来模拟政策的影响是如何在产业链中有序传播并最终作用于公司业务,从而影响个股的涨跌。实验结果证明,该模型能直观反映政策对个股产生的影响,根据模型结果构建的投资组合超额收益显著。The A-share market is a developing weak-form efficient market where there is a clear correlation between policies and fluctuations in company stock prices.To further investigate how policies affect individual stocks,this study proposes the application of a sequential propagation algorithm model based on a constructed industrial chain graph that incorporates the principles of graph topology.The model aims to simulate the orderly propagation of policies within the industrial chain and their ultimate impact on company operations,thereby influencing the rise and fall of individual stocks.According to the experimental results,this model can intuitively reflect the impact of policies on individual stocks,and the investment portfolio constructed based on the model results has significant excess returns.

关 键 词：知识图谱 传播算法 A股市场 产业链图谱 

分 类 号：F832.51[经济管理—金融学]